ESML vs. JPSE

Last updated Jun 4, 2026

ESML (iShares ESG Aware MSCI USA Small-Cap ETF) and JPSE (JPMorgan Diversified Return U.S. Small Cap Equity ETF) are both Small Cap Growth Equities funds - ESML tracks the MSCI USA Small Cap Extended ESG Focus Index while JPSE tracks the JPMorgan Diversified Factor US Small Cap Equity Index. Both are passively managed. Over the past 5 years, ESML returned 7.18%/yr vs 7.07%/yr for JPSE. With a 0.96 correlation, they move nearly in lockstep. ESML charges 0.17%/yr vs 0.29%/yr for JPSE.

Performance

ESML vs. JPSE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with ESML having a 16.26% return and JPSE slightly lower at 15.46%.

ESML

• 1D: -0.47%
• 1M: 3.86%
• YTD: 16.26%
• 6M: 15.99%
• 1Y: 34.21%
• 3Y*: 17.27%
• 5Y*: 7.18%
• 10Y*: —

JPSE

• 1D: -1.03%
• 1M: 0.95%
• YTD: 15.46%
• 6M: 14.54%
• 1Y: 31.79%
• 3Y*: 15.24%
• 5Y*: 7.07%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESML vs. JPSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
ESML iShares ESG Aware MSCI USA Small-Cap ETF	16.26%	10.62%	12.01%	17.27%	-17.28%	19.28%	19.56%	29.12%	-10.89%
JPSE JPMorgan Diversified Return U.S. Small Cap Equity ETF	15.46%	8.77%	8.07%	15.87%	-14.40%	29.31%	12.49%	22.95%	-8.48%

Correlation

The correlation between ESML and JPSE is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Apr 13, 2018	0.96

The correlation between ESML and JPSE has been stable across timeframes, ranging from 0.94 to 0.96 - a consistent structural relationship.

ESML vs. JPSE - Sectors Allocation Comparison

Sectors	ESML	JPSE
Industrials	19.3%	11.7%
Technology	17.5%	14.6%
Financial Services	14.4%	9.7%
Healthcare	12.6%	9.0%
Consumer Cyclical	11.3%	7.9%
Real Estate	6.5%	13.1%
Energy	5.9%	8.9%
Basic Materials	3.9%	9.6%
Consumer Defensive	3.7%	8.1%
Utilities	2.7%	4.8%
Communication Services	2.2%	2.7%

Return for Risk

ESML vs. JPSE — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESML

ESML Risk / Return Rank: 66
ESML Sharpe Ratio Rank: 61
ESML Sortino Ratio Rank: 62
ESML Omega Ratio Rank: 57
ESML Calmar Ratio Rank: 75
ESML Martin Ratio Rank: 74

JPSE

JPSE Risk / Return Rank: 66
JPSE Sharpe Ratio Rank: 59
JPSE Sortino Ratio Rank: 61
JPSE Omega Ratio Rank: 56
JPSE Calmar Ratio Rank: 78
JPSE Martin Ratio Rank: 75

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ESML vs. JPSE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	ESML	JPSE	Difference
Sharpe ratio: Return per unit of total volatility	2.07	2.00	+0.07
Sortino ratio: Return per unit of downside risk	2.95	2.89	+0.07
Omega ratio: Gain probability vs. loss probability	1.35	1.34	+0.01
Calmar ratio: Return relative to maximum drawdown	3.80	3.99	-0.18
Martin ratio: Return relative to average drawdown	14.00	14.20	-0.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESML vs. JPSE - Sharpe Ratio Comparison

The current ESML Sharpe Ratio is 2.07, which is comparable to the JPSE Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of ESML and JPSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ESML	JPSE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.07	2.00	+0.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.34	0.35	-0.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	0.49	-0.03

Drawdowns

ESML vs. JPSE - Drawdown Comparison

The maximum ESML drawdown since its inception was -41.97%, roughly equal to the maximum JPSE drawdown of -43.02%. Use the drawdown chart below to compare losses from any high point for ESML and JPSE.

Drawdown Indicators

	ESML	JPSE	Difference
Max Drawdown Largest peak-to-trough decline	-41.97%	-43.02%	+1.05%
Max Drawdown (1Y) Largest decline over 1 year	-9.04%	-8.00%	-1.04%
Max Drawdown (3Y) Largest decline over 3 years	-26.68%	-25.49%	-1.19%
Max Drawdown (5Y) Largest decline over 5 years	-28.61%	-25.56%	-3.05%
Current Drawdown Current decline from peak	-0.47%	-1.37%	+0.90%
Average Drawdown Average peak-to-trough decline	-8.97%	-7.42%	-1.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.45%	2.24%	+0.21%

Volatility

ESML vs. JPSE - Volatility Comparison

The current volatility for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) is 4.25%, while JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) has a volatility of 4.52%. This indicates that ESML experiences smaller price fluctuations and is considered to be less risky than JPSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESML	JPSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.25%	4.52%	-0.27%
Volatility (6M) Calculated over the trailing 6-month period	11.67%	10.90%	+0.77%
Volatility (1Y) Calculated over the trailing 1-year period	16.66%	16.00%	+0.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.23%	20.08%	+1.15%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.40%	21.82%	+1.58%

ESML vs. JPSE - Expense Ratio Comparison

ESML has a 0.17% expense ratio, which is lower than JPSE's 0.29% expense ratio.

Dividends

ESML vs. JPSE - Dividend Comparison

ESML's dividend yield for the trailing twelve months is around 0.95%, less than JPSE's 1.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ESML iShares ESG Aware MSCI USA Small-Cap ETF	0.95%	1.08%	1.22%	1.31%	1.46%	0.94%	0.99%	1.10%	1.07%	0.00%	0.00%
JPSE JPMorgan Diversified Return U.S. Small Cap Equity ETF	1.38%	1.62%	1.66%	1.76%	1.55%	1.24%	1.32%	1.23%	1.18%	0.74%	0.14%

Frequently Asked Questions

Can I hold both ESML and JPSE in my portfolio?

With a correlation of 0.94, ESML and JPSE move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ESML or JPSE?

JPSE has higher volatility (4.52%) compared to ESML (4.25%). In terms of maximum drawdown, ESML dropped -41.97% vs JPSE's -43.02%.

Which ETF is better, ESML or JPSE?

On 5-year performance, ESML leads with 7.18% vs 7.07% for JPSE. On fees, ESML is cheaper at 0.17% per year. On volatility, ESML has been the lower-risk option at 4.25%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESML or JPSE?

Over the 5-year period, ESML has performed better with a 7.18% return vs 7.07%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESML or JPSE?

ESML is cheaper with a 0.17% expense ratio, compared with 0.29% for JPSE.

Which ETF pays a higher dividend yield, ESML or JPSE?

JPSE has the higher dividend yield at 1.38%, compared with 0.95% for ESML.

What is the main difference between ESML and JPSE?

ESML tracks MSCI USA Small Cap Extended ESG Focus Index, while JPSE tracks JPMorgan Diversified Factor US Small Cap Equity Index. They also come from different issuers: iShares and JPMorgan. Their fees differ too: 0.17% for ESML and 0.29% for JPSE.

Which has better risk-adjusted returns?

ESML currently has the higher Sharpe Ratio (2.07 vs 2.00), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.